Basically gnome-shell now handles it (which is fine) but doesn't provide an option for a directory other than your GNOME Pictures directory (not fine). I'm not really sure why people would want to have their default images directory littered with screen shots, but whatever.

Changing the Default Save Directory for Gnome Screenshot

The second half is then to make gnome-screenshot save it where I'd like it to. Running it in interactive mode (gnome-screenshot -i) doesn't seem to give me an option on where to save it. So, instead, I turned to gsettings.